Round table – Margin of Conservatism

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Are you curious on how Margin of Conservatism (MoC) is implemented at your peer banks? In this round table participants will discuss various MoC implementations, giving you the opportunity to improve your own framework.

There is much freedom in implementing MoC for a model, while at the same time MoC has a big impact on the final capital requirements in Pillar I. A proper MoC framework can provide modellers the needed interpretation and avoid goal seeking.

Many of our clients are currently revising their MoC frameworks. Triple A – Risk Finance therefore organises a round table in which we will share our opinion on and experience with MoC frameworks and their implementation by various IRB banks. We will facilitate a discussion among the participants to share their views, interpretations and experiences with MoC. We will discuss the following topics:

• What makes a good MoC framework and how do you implement such a framework?
• What are MoC pitfalls when interpreting the EBA guidelines and developing a framework?
• How can you optimise your MoC processes during model development?
• What is a reasonable level of conservatism?